Abstract: Investment portfolio optimization contributes to break through the choke point of oil and gas prospect brought about by the increasing difficulty and tightening funds.The authors hold that risk assessment should be made on investment portfolio on the basis of single project assessment.An example of multi objective programming model is analyzed in which present value of annuity is taken as income index of single prospect project and variance of single project as risk measurement index.

Key words: investment portfolio, oil and gas prospect project, multi objective programming, risk evaluation, project management